Rinse the mussels thoroughly, removing the beards.

Discard any mussels with cracked shells or those not closing tightly when touched.

In a large skillet, combine the mussels, water, and lemon, bringing the mixture to a boil over high heat.

Cook until the mussels open, removing each as it does.

Discard any unopened mussels.

Reserve 1 cup of the cooking liquid.

Place the mussel meat in a large bowl, add the sliced mushrooms, and stir to combine.

Discard the mussel shells.

Prepare the white sauce: In a small bowl, beat the egg yolks and stir in the hot sauce.

Melt the butter in a small saucepan over medium heat.

Add the flour and cook for an additional minute.

Gradually stir in the reserved cooking liquid, milk, lemon juice, saffron, and black pepper.

Cook, stirring constantly, until the mixture thickens and becomes smooth.

Reduce the heat to low, add the egg mixture, and cook, stirring constantly, until the sauce thickens.

Preheat the oven to 450°F (230°C).

Arrange the mussels and mushrooms in a shallow casserole dish, Dutch oven, or distribute among individual casserole dishes or large scallop shells.

Pour the prepared sauce over the top, sprinkle with grated cheese, and dot with butter.

Bake for approximately 10 minutes or until the dish is bubbly and lightly browned.